Stationarity and Stability of Autoregressive Neural Network Processes

On the Ergodicity and Stationarity of the ARMA(1,1) Recurrent Neural Network Process

In this note we consider the autoregressive moving average recurrent neural network ARMA-NN(1; 1) process. We show that in contrast to the pure autoregressive process simple ARMA-NN processes exist which are not irreducible. We prove that the controllability of the linear part of the process is sufficient for irreducibility. For the irreducible process essentially the shortcut weight correspond...

Economic growth: Theory and numerical solution methods Description of contents

An overview of some statistical concepts using simple time series models: Stationarity, mean reversion, autocorrelation, impulse responses, autoregressive processes, stability. A section on simulating white noise, random walk, autoregressive processes comments on results in …le Simple_simul.xls. Lack of stationarity is illustrated, and impulse response functions are computed for processes with ...

On the Stationarity of Autoregressive Neural Network Models

Comparative Study of Static and Dynamic Artificial Neural Network Models in Forecasting of Tehran Stock Exchange

During the recent decades, neural network models have been focused upon by researchers due to their more real performance and on this basis, different types of these models have been used in forecasting. Now, there is a question that which kind of these models has more explanatory power in forecasting the future processes of the stock. In line with this, the present paper made a comparison betw...

A Nonlinear Autoregressive Model with Exogenous Variables Neural Network for Stock Market Timing: The Candlestick Technical Analysis

In this paper, the nonlinear autoregressive model with exogenous variables as a new neural network is used for timing of the stock markets on the basis of the technical analysis of Japanese Candlestick. In this model, the “nonlinear autoregressive model with exogenous variables” is an analyzer. For a more reliable comparison, here (like the literature) two approaches of  Raw-based and Signal-ba...